Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

Details Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

2010-11-14

arxiv.org/abs/1011.3220v2

Mathematics

Probability

This version has been greatly improved, especially Section 3.2, and has been submitted for publication

Scientific paper

This paper is intended to give a representation for stochastic viscosity
solution of semi-linear reflected stochastic partial differential equations
with nonlinear Neumann boundary condition. We use its connection with reflected
generalized backward doubly stochastic differential equations.

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